Uniform strong consistency of robust estimators

José R. Berrendero

Statistics & Probability Letters, 2003, vol. 64, issue 2, 159-168

Abstract: In the robustness framework, the distribution underlying the data is not totally specified and, therefore, it is convenient to use estimators whose properties hold uniformly over the whole set of possible distributions. In this paper, we give two general results on uniform strong consistency and apply them to study the uniform consistency of some classes of robust estimators over contamination neighborhoods. Some instances covered by our results are Huber's M-estimators, quantiles, or generalized S-estimators.

Keywords: Uniform; strong; consistency; Robustness; M-estimators; GS-estimators (search for similar items in EconPapers)
Date: 2003
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